Exhibit 99.1
------------
Unless otherwise noted, all statistical percentages or weighted averages
set forth below are measured as a percentage of the aggregate Principal Balance
of the Mortgage Loans in the related Loan Group or in the Mortgage Pool as of
the Cut-off Date and the Subsequent Mortgage Loans in the related Loan Group or
in the Mortgage Pool as of the Subsequent Cut-off Date.
The Mortgage Loans consist of approximately 4,745 Mortgage Loans with a
Subsequent Cut-off Date Principal Balance of approximately $648,799,346. The
Group I Mortgage Loans consist of approximately 2,360 Mortgage Loans with a
Subsequent Cut-off Date Principal Balance of approximately $324,377,030. The
Group II Mortgage Loans consist of approximately 2,385 Mortgage Loans with a
Subsequent Cut-off Date Principal Balance of approximately $324,422,315.
All of the Mortgage Loans will be secured by first mortgages or deeds of
trust or other similar security instruments (each, a " Mortgage"). The Mortgages
create first liens on one- to four-family residential properties consisting of
attached or detached one- to four-family dwelling units and individual
condominium units (each, a " Mortgaged Property"). Each Mortgage Loan will
accrue interest at the adjustable-rate or fixed-rate calculated as specified
under the terms of the related mortgage note (each such rate, a "Mortgage
Rate"). Approximately 79.67% of the Group I Mortgage Loans are Adjustable-Rate
Mortgage Loans (the "Adjustable-Rate Group I Mortgage Loans") and approximately
20.33% of the Group I Mortgage Loans are fixed-rate Mortgage Loans (the
"Fixed-Rate Group I Mortgage Loans"). Approximately 76.51% of the Group II
Mortgage Loans are Adjustable-Rate Mortgage Loans (the "Adjustable-Rate Group II
Mortgage Loans") and approximately 23.49% of the Group II Mortgage Loans are
fixed-rate Mortgage Loans (the "Fixed-Rate Group II Mortgage Loans").
Approximately 78.10% of the Mortgage Loans are Adjustable-Rate Mortgage Loans
(the "Adjustable-Rate Mortgage Loans") and approximately 21.90% of the Mortgage
Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Mortgage Loans").
Each fixed-rate Mortgage Loan has a Mortgage Rate that is fixed for the
life of such Mortgage Loan.
Each adjustable-rate Mortgage Loan accrues interest at a Mortgage Rate
that is adjustable following an initial period of two years or three years
following origination. Generally, the adjustable-rate Mortgage Loans provide for
semi-annual adjustment to the mortgage rate (the " Mortgage Rate") thereon and
for corresponding adjustments to the monthly payment amount due thereon, in each
case on each adjustment date applicable thereto (each such date, an " Adjustment
Date"); provided, (i) the first adjustment of the rates for approximately 71.14%
of the Adjustable-Rate Group I Mortgage Loans and approximately 66.69% of the
Adjustable-Rate Group II Mortgage Loans (in each case, by aggregate Principal
Balance of the Adjustable-Rate Mortgage Loans in the related Loan Group as of
the Subsequent Cut-off Date) and approximately 68.92% of the Adjustable-Rate
Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage
Loans as of the Subsequent Cut-off Date), will not occur until two years after
the date of origination and (ii) the first adjustment of the rates for
approximately 8.53% of the Adjustable-Rate Group I Mortgage Loans and
approximately 9.82% of the Adjustable-Rate Group II Mortgage Loans (in each
case, by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans in
the related Loan Group as of the Subsequent Cut-off Date) and approximately
9.18% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of
the Adjustable-Rate Mortgage Loans as of the Subsequent Cut-off Date), will not
occur until three years after the date of origination (each adjustable-rate
Mortgage Loan having any such two year or three year initial fixed period, a
"Delayed First Adjustment Mortgage Loan"). On each Adjustment Date for each
adjustable-rate Mortgage Loan, the
14
Mortgage Rate thereon will be adjusted to equal the sum, rounded to the nearest
or next highest multiple of 0.125%, of Six-Month LIBOR (as defined below) and a
fixed percentage amount (the " Gross Margin"). The Mortgage Rate on any
adjustable-rate Mortgage Loan will not decrease on the first related Adjustment
Date, will not increase by more than a stated percentage (generally, 3.00% per
annum, as specified in the related mortgage note) on the first related
Adjustment Date (the " Initial Periodic Rate Cap") and will not increase or
decrease by more than a stated percentage (generally, 1.00% per annum, as
specified in the related mortgage note) on any Adjustment Date thereafter (the
"Periodic Rate Cap"). Each Mortgage Rate on each adjustable-rate Mortgage Loan
will not exceed a specified maximum Mortgage Rate over the life of such Mortgage
Loan (the " Maximum Mortgage Rate") or be less than a specified minimum Mortgage
Rate over the life of such Mortgage Loan (the " Minimum Mortgage Rate").
Effective with the first monthly payment due on each adjustable-rate Mortgage
Loan after each related Adjustment Date, the monthly payment amount will be
adjusted to an amount that will amortize fully the outstanding Principal Balance
of the related adjustable-rate Mortgage Loan over its remaining term, and pay
interest at the Mortgage Rate as so adjusted. Due to the application of the
Initial Periodic Rate Caps, the Periodic Rate Caps and the Maximum Mortgage
Rates, the Mortgage Rate on each adjustable-rate Mortgage Loan, as adjusted on
any related Adjustment Date, may be less than the sum of the Index and the
related Gross Margin, rounded as described in this prospectus supplement. None
of the adjustable-rate Mortgage Loans will permit the related mortgagor to
convert the adjustable Mortgage Rate thereon to a fixed Mortgage Rate.
Approximately 1.12% of the Group I Mortgage Loans, approximately 90.40% of
the Group II Mortgage Loans and approximately 90.76% of the Mortgage Loans
provide for payment by the mortgagor of a prepayment charge in limited
circumstances on certain prepayments. Generally, each such Mortgage Loan
provides for payment of a prepayment charge on partial prepayments and
prepayments in full made within a stated number of months that is between 12 and
36 months from the date of origination of such Mortgage Loan. The amount of the
prepayment charge is provided in the related mortgage note and is generally
equal to six months' interest on any amounts prepaid in excess of 20.00% of the
original Principal Balance of the related Mortgage Loan in any [__] month
period. The holders of the Class P Certificates will be entitled to all
prepayment charges received on the Mortgage Loans, and such amounts will not be
available for distribution on the other classes of Certificates. Under certain
circumstances, as described in the Pooling Agreement, the Servicer may waive the
payment of any otherwise applicable prepayment charge. Investors should conduct
their own analysis of the effect, if any, that the prepayment charges, and
decisions by the Servicer with respect to the waiver thereof, may have on the
prepayment performance of the Mortgage Loans. As of July 1, 2003, the
Alternative Mortgage Parity Act of 1982 (the " Parity Act"), which regulates the
ability of some originators to impose prepayment charges, was amended. The
Depositor makes no representations as to the effect that the prepayment charges,
decisions by the Servicer with respect to the waiver thereof and the recent
amendment of the Parity Act, may have on the prepayment performance of the
Mortgage Loans. However, the Office of Thrift Supervision's ruling does not
retroactively affect loans originated before July 1, 2003.
MORTGAGE LOAN STATISTICS FOR ALL MORTGAGE LOANS
The following statistical information, unless otherwise specified, is
based upon percentages of the Principal Balances of the Mortgage Loans as of the
Subsequent Cut-off Date.
Approximately 80.78% of the Mortgage Loans had loan-to-value ratios at
origination in excess of 80.00%. No Mortgage Loan had a loan-to-value ratio at
origination in excess of 100.00%. The weighted average loan-to-value ratio of
the Mortgage Loans at origination was approximately 91.23%. There can be no
assurance that the loan-to-value ratio of any Mortgage Loan determined at any
time after origination is less than or equal to its original loan-to-value
ratio. Additionally, the Originator's determination of the value of a Mortgaged
Property used in the calculation of the original loan-to-value ratios of the
Mortgage
15
Loans may differ from the appraised value of such Mortgaged Property or the
actual value of such Mortgaged Property at origination.
Except with respect to approximately 38.81% of the Mortgage Loans, all of
the Mortgage Loans have a scheduled payment due each month (the " Due Date") on
the first day of the month.
The weighted average remaining term to maturity of the Mortgage Loans was
approximately 354 months as of the Subsequent Cut-off Date. None of the Mortgage
Loans had a first Due Date prior to December 19, 2002 or after November 11,
2004, or has a remaining term to maturity of less than 115 months or greater
than 360 months as of the Subsequent Cut-off Date. The latest maturity date of
any Mortgage Loan is October 1, 2034.
The average Principal Balance of the Mortgage Loans at origination was
approximately $137,032. The average Subsequent Cut-off Date Principal Balance of
the Mortgage Loans was approximately $136,733. No Mortgage Loan had a Subsequent
Cut-off Date Principal Balance of greater than approximately $648,702 or less
than approximately $29,831.
As of the Subsequent Cut-off Date, the Mortgage Loans had Mortgage Rates
of not less than 4.300% per annum and not more than 11.990% per annum and the
weighted average Mortgage Rate of the Mortgage Loans was approximately 6.765%
per annum. As of the Subsequent Cut-off Date, the Adjustable-Rate Mortgage Loans
had Gross Margins ranging from 4.550% per annum to 11.130% per annum, Minimum
Mortgage Rates ranging from 4.300% per annum to 11.300% per annum and Maximum
Mortgage Rates ranging from 10.300% per annum to 17.300% per annum. As of the
Subsequent Cut-off Date, the weighted average Gross Margin of the
Adjustable-Rate Mortgage Loans was approximately 6.768% per annum, the weighted
average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans was
approximately 6.712% per annum and the weighted average Maximum Mortgage Rate of
the Adjustable-Rate Mortgage Loans was approximately 12.712% per annum. The
latest next Adjustment Date following the Subsequent Cut-off Date on any
Adjustable-Rate Mortgage Loan occurs in October 2007 and the weighted average
time until the next Adjustment Date for all of the Adjustable-Rate Mortgage
Loans is approximately 23 months.
The Mortgage Loans are expected to have the following characteristics as
of the Subsequent Cut-off Date (the sum in any column may not equal the total
indicated due to rounding):
16
SUBSEQUENT CUT-OFF DATE PRINCIPAL BALANCES OF THE MORTGAGE LOANS(1)
PRINCIPAL % PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
PRINCIPAL BALANCE MORTGAGE THE CUT-OFF THE CUT-OFF
($): LOANS DATE DATE
--- ----- ---- ----
29,831 - 50,000........... 227 $9,869,492.43 1.52%
50,001 -100,000........... 1,549 119,946,253.47 18.49
100,001 -150,000........... 1,336 165,810,939.98 25.56
150,001 -200,000........... 857 147,143,935.71 22.68
200,001 -250,000........... 414 92,536,240.72 14.26
250,001 -300,000........... 190 51,863,386.00 7.99
300,001 -350,000........... 100 32,529,597.45 5.01
350,001 -400,000........... 50 18,748,575.78 2.89
400,001 -450,000........... 11 4,725,495.55 0.73
450,001 -500,000........... 8 3,804,806.95 0.59
550,001 -600,000........... 2 1,171,919.83 0.18
600,001 -648,702........... 1 648,701.68 0.10
----- --------------- ------
Total................ 4,745 $648,799,345.55 100.00%
===== =============== ======
___________________
(1)The average Principal Balance of the Mortgage Loans as of the Subsequent
Cut-off Date was approximately $136,733.
CREDIT SCORES FOR THE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
CREDIT SCORE: LOANS DATE DATE
------------ ------ ----- ----
501 - 525 ................... 53 $4,864,159.42 0.75%
526 - 550 ................... 264 25,828,414.98 3.98
551 - 575.................... 405 46,671,746.84 7.19
576 - 600.................... 510 64,513,403.67 9.94
601 - 625.................... 880 119,300,315.44 18.39
626 - 650.................... 916 132,359,417.70 20.40
651 - 675.................... 675 98,027,890.13 15.11
676 - 700.................... 403 62,968,125.07 9.71
701 - 725.................... 282 41,356,584.52 6.37
726 - 750 ................... 176 26,840,673.89 4.14
751 - 775 ................... 118 17,569,496.46 2.71
776 - 800 ................... 51 6,834,192.93 1.05
801 - 814 ................... 12 1,664,924.50 0.26
----- -------------- ------
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
___________________
(1)The weighted average credit score of the Mortgage Loans that had credit
scores as of the Subsequent Cut-off Date was approximately 641.
17
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
ORIGINAL TERM MORTGAGE THE CUT-OFF THE CUT-OFF
(MONTHS): LOANS DATE DATE
--------- ----- ---- ----
120 .......................... 6 $ 316,860.33 0.05%
180........................... 104 8,495,011.51 1.31
240........................... 57 6,586,644.18 1.02
300........................... 8 1,219,719.42 0.19
360........................... 4,570 632,181,110.11 97.44
----- -------------- -----
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
___________________
(1)The weighted average original term to maturity of the Mortgage Loans as of
the Subsequent Cut-off Date was approximately 356 months.
REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
REMAINING TERM MORTGAGE THE CUT-OFF THE CUT-OFF
(MONTHS): LOANS DATE DATE
--------- ----- ---- ----
115 - 116 ................... 1 $ 50,570.18 0.01%
117 - 118 ................... 5 266,290.15 0.04
173 - 174 ................... 4 227,317.60 0.04
175 - 176.................... 10 710,392.48 0.11
177 - 178 ................... 76 6,503,795.64 1.00
179 - 180 ................... 14 1,053,505.79 0.16
231 - 232.................... 2 169,556.45 0.03
233 - 234 ................... 1 87,067.70 0.01
235 - 236 ................... 2 146,545.31 0.02
237 - 238 ................... 45 5,619,273.50 0.87
239 - 240 ................... 7 564,201.22 0.09
293 - 294.................... 1 82,710.26 0.01
297 - 298 ................... 6 958,279.91 0.15
299 - 300 ................... 1 178,729.25 0.03
341 - 342 ................... 4 462,092.26 0.07
343 - 344.................... 2 248,753.15 0.04
345 - 346 ................... 2 602,094.03 0.09
347 - 348 ................... 3 538,882.46 0.08
349 - 350 ................... 2 241,973.69 0.04
351 - 352 ................... 7 1,091,765.90 0.17
353 - 354 ................... 65 7,523,094.52 1.16
355 - 356 ................... 368 4 6,496,303.44 7.17
357 - 358.................... 3,304 457,596,660.42 70.53
359 - 360 ................... 813 117,379,490.24 18.09
----- --------------- ------
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
___________________
(1)The weighted average remaining term to maturity of the Mortgage Loans as of
the Subsequent Cut-off Date was approximately 354 months.
18
PROPERTY TYPES OF THE MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
PROPERTY TYPE: LOANS DATE DATE
-------------- ----- ---- ----
Single Family ................. 4,300 $585,401,817.80 90.23%
Condominium.................... 183 25,363,951.87 3.91
Townhouse...................... 168 23,658,433.76 3.65
Two-Four Family................ 94 14,375,142.12 2.22
---- --------------- ------
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
OCCUPANCY STATUS OF THE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
OCCUPANCY STATUS: LOANS DATE DATE
----------------- ----- ---- ----
Primary....................... 4,595 $635,090,929.10 97.89%
Investor ..................... 150 1 3,708,416.45 2.11
--- - ------------ ----
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
___________________
(1) Occupancy as represented by the mortgagor at the time of origination.
PURPOSE OF THE MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
PURPOSE: LOANS DATE DATE
-------- ----- ---- ----
Cash Out Refinance ........... 2,726 $381,725,506.94 58.84%
Purchase...................... 1,629 214,421,162.82 33.05
Rate/Term Refinance........... 387 52,342,652.19 8.07
Land Contract................. 3 310,023.60 0.05
----- --------------- ------
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
19
ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS(1)(2)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
ORIGINAL LOAN-TO-VALUE MORTGAGE THE CUT-OFF THE CUT-OFF
RATIO (%): LOANS DATE DATE
---------- ----- ---- ----
13.05 - 15.00 ............. 1 $ 29,938.62 0.00%
15.01 - 20.00.............. 1 29,944.50 0.00
25.01 - 30.00 ............. 4 300,423.40 0.05
30.01 - 35.00 ............. 8 547,270.53 0.08
35.01 - 40.00.............. 6 440,404.05 0.07
40.01 - 45.00.............. 17 1,549,127.16 0.24
45.01 - 50.00.............. 18 1,797,500.18 0.28
50.01 - 55.00.............. 27 2,483,763.69 0.38
55.01 - 60.00.............. 45 4,404,619.43 0.68
60.01 - 65.00.............. 64 7,024,193.51 1.08
65.01 - 70.00.............. 165 17,822,812.36 2.75
70.01 - 75.00.............. 187 24,145,610.32 3.72
75.01 - 80.00.............. 525 64,114,227.03 9.88
80.01 - 85.00.............. 621 76,401,670.49 11.78
85.01 - 90.00.............. 568 80,964,223.24 12.48
90.01 - 95.00.............. 365 57,419,220.09 8.85
95.01 - 100.00.............. 2,123 309,324,396.95 47.68
----- -------------- -----
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
___________________
(1)The weighted average original loan-to-value ratio of the Mortgage Loans as
of the Subsequent Cut-off Date was approximately 91.23%.
20
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES
RELATED TO THE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
PROPERTY MORTGAGE THE CUT-OFF THE CUT-OFF
STATE: LOANS DATE DATE
------ ----- ---- ----
Alabama....................... 125 $13,696,270.69 2.11%
Arizona ...................... 89 13,663,384.30 2.11
Arkansas...................... 37 4,056,970.73 0.63
California ................... 54 13,743,459.11 2.12
Colorado...................... 122 23,841,267.16 3.67
Connecticut .................. 46 8,251,900.92 1.27
Delaware ..................... 33 5,199,560.96 0.80
Florida ...................... 352 46,765,470.61 7.21
Georgia ...................... 202 2 8,290,734.99 4.36
Idaho ........................ 1 107,000.00 0.02
Illinois ..................... 124 17,464,849.22 2.69
Indiana....................... 136 13,143,518.91 2.03
Iowa ......................... 23 2,458,125.99 0.38
Kansas ....................... 33 3,980,843.86 0.61
Kentucky ..................... 58 6,291,207.19 0.97
Louisiana .................... 107 12,130,027.37 1.87
Maine ........................ 37 3,751,384.85 0.58
Maryland ..................... 216 41,716,015.46 6.43
Massachusetts ................ 71 15,447,966.81 2.38
Michigan...................... 300 39,640,235.98 6.11
Minnesota..................... 115 19,255,975.39 2.97
Mississippi................... 72 6,839,507.35 1.05
Missouri...................... 142 15,419,995.17 2.38
Nebraska...................... 26 2,498,033.67 0.39
Nevada........................ 27 5,218,145.48 0.80
New Hampshire................. 27 4,824,926.33 0.74
New Jersey.................... 31 5,703,477.39 0.88
New Mexico.................... 25 2,790,061.85 0.43
New York...................... 146 24,734,497.34 3.81
North Carolina................ 200 23,920,141.69 3.69
Ohio.......................... 267 31,362,771.91 4.83
Oklahoma...................... 85 9,347,548.31 1.44
Oregon........................ 15 2,259,143.44 0.35
Pennsylvania ................. 383 46,825,745.88 7.22
Rhode Island.................. 15 2,680,263.37 0.41
South Carolina ............... 96 10,784,317.15 1.66
Tennessee .................... 174 19,378,981.84 2.99
Texas......................... 262 29,157,544.99 4.49
Utah.......................... 46 7,150,570.26 1.10
Virginia...................... 313 48,318,463.22 7.45
Washington.................... 28 5,727,740.91 0.88
Wisconsin .................... 80 10,390,062.21 1.60
Wyoming ...................... 4 571,235.29 0.09
----- -------------- ------
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
___________________
(1) The greatest ZIP Code geographic concentration of Mortgage Loans was
approximately 0.35% in the 22193 ZIP Code.
21
DOCUMENTATION LEVELS OF THE MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
DOCUMENTATION MORTGAGE THE CUT-OFF THE CUT-OFF
LEVEL: LOANS DATE DATE
------ ----- ---- ----
Full Documentation ........ 4,216 $561,761,307.91 86.58%
Stated Documentation ...... 420 69,555,170.59 10.72
Alternative Documentation.. 108 17,406,034.12 2.68
No Income Verification .... 1 76,832.93 0.01
----- --------------- ------
Total.................... 4,745 $648,799,345.55 100.00%
===== =============== ======
CURRENT MORTGAGE RATES OF THE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
CURRENT LOAN MORTGAGE THE CUT-OFF THE CUT-OFF
RATE (%): LOANS DATE DATE
-------- ----- ---- ----
4.300 - 5.000................ 45 $8,642,749.64 1.33%
5.001 - 6.000................ 792 138,852,798.91 21.40
6.001 - 7.000................ 1,954 288,571,413.00 44.48
7.001 - 8.000................ 1,338 159,316,111.69 24.56
8.001 - 9.000................ 472 42,325,558.47 6.52
9.001 -10.000................ 116 9,204,992.80 1.42
10.001 -11.000................ 23 1,615,114.52 0.25
11.001 -11.990................ 5 270,606.52 0.04
----- --------------- ------
Total................... 4,745 $648,799,345.55 100.00%
===== =============== ======
___________________
(1)The weighted average current Mortgage Rate of the Mortgage Loans as of the
Subsequent Cut-off Date was approximately 6.765% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
GROSS MARGIN MORTGAGE THE CUT-OFF THE CUT-OFF
(%)(ARMS ONLY): LOANS DATE DATE
------------- ----- ---- ----
4.550 -5.000............... 35 $6,282,931.09 1.24%
5.001 -6.000............... 536 90,234,223.49 17.81
6.001 -7.000............... 1,507 225,062,404.22 44.42
7.001 -8.000............... 1,101 143,378,108.71 28.30
8.001 -9.000............... 339 33,822,136.27 6.68
9.001-10.000............... 67 6,304,601.20 1.24
10.001-11.000............... 18 1,460,330.16 0.29
11.001-11.130............... 2 147,720.11 0.03
----- -------------- ------
Total................. 3,605 $506,692,455.25 100.00%
===== =============== ======
___________________
(1) The weighted average Gross Margin of the Adjustable-Rate Mortgage Loans as
of the Subsequent Cut-off Date was approximately 6.768% per annum.
22
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
NEXT ADJUSTMENT DATE (ARM) LOANS DATE DATE
-------------------------- ----- ---- ----
12/01/04 - 12/31/04 ......... 2 $ 163,625.30 0.03%
01/01/05 - 01/31/05 ......... 1 88,064.62 0.02
02/01/05 - 02/28/05.......... 1 160,688.53 0.03
05/01/05 - 05/31/05.......... 1 120,340.66 0.02
06/01/05 - 06/30/05.......... 1 213,518.13 0.04
08/01/05 - 08/31/05.......... 1 197,476.13 0.04
09/01/05 - 09/30/05.......... 1 147,609.36 0.03
10/01/05 - 10/31/05.......... 3 381,822.06 0.08
11/01/05 - 11/30/05.......... 13 1,601,650.95 0.32
12/01/05 - 12/31/05.......... 37 4,349,227.30 0.86
01/01/06 - 01/31/06.......... 70 9,225,105.58 1.82
02/01/06 - 02/28/06.......... 187 23,949,026.15 4.73
03/01/06 - 03/31/06.......... 770 101,098,109.22 19.95
04/01/06 - 04/30/06.......... 1,289 180,476,376.86 35.62
05/01/06 - 05/31/06.......... 562 83,009,005.44 16.38
06/01/06 - 06/30/06.......... 131 21,624,147.04 4.27
07/01/06 - 07/31/06.......... 5 647,532.98 0.13
08/01/06 - 08/31/06.......... 13 1,967,916.45 0.39
09/01/06 - 09/30/06.......... 84 11,629,200.00 2.30
10/01/06 - 10/31/06.......... 47 7,246,535.00 1.43
11/01/06 - 11/30/06.......... 3 386,183.25 0.08
12/01/06 - 12/31/06.......... 3 344,822.94 0.07
01/01/07 - 01/31/07.......... 5 877,098.74 0.17
02/01/07 - 02/28/07.......... 13 2,045,840.21 0.40
03/01/07 - 03/31/07.......... 84 12,302,866.34 2.43
04/01/07 - 04/30/07.......... 153 23,024,102.79 4.54
05/01/07 - 05/31/07.......... 88 12,777,419.03 2.52
06/01/07 - 06/30/07.......... 20 3,607,274.19 0.71
09/01/07 - 09/30/07.......... 14 2,600,370.00 0.51
10/01/07 - 10/31/07.......... 3 429,500.00 0.08
----- -------------- -------
Total.................... 3,605 $506,692,455.25 100.00%
===== =============== ======
___________________
(1)The weighted average time until the next Adjustment Date for the
Adjustable-Rate Mortgage Loans as of the Subsequent Cut-off Date was
approximately 23 months.
23
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
MAXIMUM LOAN RATE (%)(ARMS ONLY) LOANS DATE DATE
- -------------------------------- ----- ---- ----
10.300-11.000.............. 45 $ 8,642,749.64 1.71%
11.001-12.000.............. 693 120,585,164.81 23.80
12.001-13.000.............. 1,459 216,237,255.93 42.68
13.001-14.000.............. 993 123,011,033.75 24.28
14.001-15.000.............. 319 30,008,530.36 5.92
15.001-16.000.............. 80 6,969,147.25 1.38
16.001-17.000.............. 15 1,164,423.31 0.23
17.001-17.300.............. 1 74,150.20 0.01
----- --------------- -------
Total................ 3,605 $506,692,455.25 100.00%
===== =============== ======
___________________
(1)The weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage
Loans as of the Subsequent Cut-off Date was approximately 12.712% per annum.
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
MINIMUM LOAN RATE (%)(ARMS ONLY) LOANS DATE DATE
- -------------------------------- ----- ---- ----
4.300 -5.000................... 45 $ 8,642,749.64 1.71%
5.001 -6.000................... 693 120,585,164.81 23.80
6.001 -7.000................... 1,459 216,237,255.93 42.68
7.001 -8.000................... 993 123,011,033.75 24.28
8.001 -9.000................... 319 30,008,530.36 5.92
9.001-10.000................... 80 6,969,147.25 1.38
10.001-11.000................... 15 1,164,423.31 0.23
11.001-11.300................... 1 74,150.20 0.01
----- --------------- -------
Total..................... 3,605 $506,692,455.25 100.00%
===== =============== ======
___________________
(1)The weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage
Loans as of the Subsequent Cut-off Date was approximately 6.712% per annum.
24
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
INITIAL PERIODIC RATE CAP (%) MORTGAGE THE CUT-OFF THE CUT-OFF
(ARMS ONLY): LOANS DATE DATE
------------ ----- ---- ----
3.000 ......................... 3,605 $506,692,455.25 100.00%
- ----- ----- --------------- ------
Total.......................... 3,605 $506,692,455.25 100.00%
===== =============== ======
___________________
(1) Relates solely to initial rate adjustments.
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
PERIODIC RATE CAP (%) (ARMS ONLY) LOANS DATE DATE
- --------------------------------- ----- ---- ----
1.000 ......................... 3,605 $506,692,455.25 100.00%
- ----- ----- --------------- ------
Total.......................... 3,605 $506,692,455.25 100.00%
===== =============== ======
___________________
(1) Relates to all rate adjustments subsequent to initial rate adjustments.
25
GROUP I MORTGAGE LOAN STATISTICS
The following statistical information, unless otherwise specified, is
based upon percentages of the Principal Balances of the Group I Mortgage Loans
as of the Subsequent Cut-off Date.
Approximately 78.92% of the Group I Mortgage Loans had loan-to-value
ratios at origination in excess of 80.00%. No Group I Mortgage Loan had a
loan-to-value ratio at origination in excess of 100%. The weighted average
loan-to-value ratio of the Group I Mortgage Loans at origination was
approximately 90.75%. There can be no assurance that the loan-to-value ratio of
any Group I Mortgage Loan determined at any time after origination is less than
or equal to its original loan-to-value ratio. Additionally, the Originator's
determination of the value of a Mortgaged Property used in the calculation of
the original loan-to-value ratios of the Mortgage Loans may differ from the
appraised value of such Mortgaged Property or the actual value of such Mortgaged
Property at origination.
Except with respect to approximately 37.00% of the Group I Mortgage Loans,
all of the Group I Mortgage Loans have a Due Date on the first day of the month.
The weighted average remaining term to maturity of the Group I Mortgage
Loans was approximately 354 months as of the Subsequent Cut-off Date. None of
the Group I Mortgage Loans had a first Due Date prior to January 8, 2003 or
after November 1, 2004, or has a remaining term to maturity of less than 115
months or greater than 360 months as of the Subsequent Cut-off Date. The latest
maturity date of any Group I Mortgage Loan is October 1, 2034.
The average Principal Balance of the Group I Mortgage Loans at origination
was approximately $137,729. The average Subsequent Cut-off Date Principal
Balance of the Group I Mortgage Loans was approximately $137,448. No Group I
Mortgage Loan had a Subsequent Cut-off Date Principal Balance of greater than
approximately $399,000 or less than approximately $29,945.
As of the Subsequent Cut-off Date, the Group I Mortgage Loans had Mortgage
Rates of not less than 4.300% per annum and not more than 11.990% per annum and
the weighted average Mortgage Rate of the Group I Mortgage Loans was
approximately 6.648% per annum. As of the Subsequent Cut-off Date, the
Adjustable-Rate Group I Mortgage Loans had Gross Margins ranging from 4.550% per
annum to 8.000% per annum, Minimum Mortgage Rates ranging from 4.300% per annum
to 8.500% per annum and Maximum Mortgage Rates ranging from 10.300% per annum to
14.500% per annum. As of the Subsequent Cut-off Date, the weighted average Gross
Margin of the Adjustable-Rate Group I Mortgage Loans was approximately 6.609%
per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate
Group I Mortgage Loans was approximately 6.573% per annum and the weighted
average Maximum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans was
approximately 12.573% per annum. The latest next Adjustment Date following the
Subsequent Cut-off Date on any Adjustable-Rate Group I Mortgage Loan occurs in
October, 2007 and the weighted average time until the next Adjustment Date for
all of the Adjustable-Rate Group I Mortgage Loans is approximately 23 months.
The Group I Mortgage Loans are expected to have the following
characteristics as of the Subsequent Cut-off Date (the sum in any column may not
equal the total indicated due to rounding):
26
SUBSEQUENT CUT-OFF DATE PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
PRINCIPAL BALANCE MORTGAGE THE CUT-OFF THE CUT-OFF
($): LOANS DATE DATE
--- ----- ---- ----
29,945 - 50,000........... 92 $ 4,082,778.29 1.26
50,001 -100,000........... 728 56,621,696.70 17.46
100,001 -150,000........... 662 82,597,625.74 25.46
150,001 -200,000........... 492 84,519,424.54 26.06
200,001 -250,000........... 229 51,208,443.11 15.79
250,001 -300,000........... 110 30,170,894.81 9.30
300,001 -350,000........... 42 13,282,436.26 4.09
350,001 -399,000........... 5 1,893,730.96 0.58
----- --------------- -------
Total..................... 2,360 $324,377,030.41 100.00%
===== =============== ======
___________________
(1)The average Principal Balance of the Group I Mortgage Loans as of the
Subsequent Cut-off Date was approximately $137,448.
CREDIT SCORES FOR THE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
CREDIT SCORE: LOANS DATE DATE
------------ ------ ----- ----
503 - 525 .................... 14 $1,502,383.03 0.46%
526 - 550 .................... 114 12,293,224.86 3.79
551 - 575 .................... 195 23,648,825.44 7.29
576 - 600 .................... 266 33,021,280.01 10.18
601 - 625 .................... 420 58,679,159.53 18.09
626 - 650 .................... 464 65,778,732.19 20.28
651 - 675 .................... 341 47,617,834.79 14.68
676 - 700 .................... 218 33,362,330.14 10.29
701 - 725 .................... 144 21,324,440.68 6.57
726 - 750 .................... 99 14,360,992.90 4.43
751 - 775 .................... 54 8,597,212.30 2.65
776 - 800 .................... 30 4,118,763.41 1.27
801 - 810 ................... 1 71,851.13 0.02
----- --------------- -------
Total......................... 2,360 $324,377,030.41 100.00%
===== =============== ======
___________________
(1)The weighted average credit score of the Group I Mortgage Loans that had
credit scores as of the Subsequent Cut-off Date was approximately 641.
27
ORIGINAL TERMS TO MATURITY OF THE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
ORIGINAL TERM MORTGAGE THE CUT-OFF THE CUT-OFF
(MONTHS): LOANS DATE DATE
--------- ----- ---- ----
120............................ 3 $ 151,413.04 0.05%
180............................ 46 3,643,703.34 1.12
240............................ 24 3,249,851.20 1.00
300............................ 4 590,626.43 0.18
360............................ 2,283 316,741,436.40 97.65
- ---- ----- -------------- -----
Total......................... 2,360 $324,377,030.41 100.00%
===== =============== ======
___________________
(1)The weighted average original term to maturity of the Group I Mortgage Loans
as of the Subsequent Cut-off Date was approximately 357 months.
REMAINING TERMS TO MATURITY OF THE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
REMAINING TERM MORTGAGE THE CUT-OFF THE CUT-OFF
(MONTHS): LOANS DATE DATE
--------- ----- ---- ----
115 - 116 ................... 1 $ 50,570.18 0.02%
117 - 118.................... 2 100,842.86 0.03
173 - 174.................... 2 100,781.73 0.03
175 - 176.................... 4 285,885.35 0.09
177 - 178.................... 32 2,741,548.22 0.85
179 - 180.................... 8 515,488.04 0.16
233 - 234.................... 1 87,067.70 0.03
235 - 236.................... 2 146,545.31 0.05
237 - 238.................... 18 2,741,662.99 0.85
239 - 240.................... 3 274,575.20 0.08
297 - 298.................... 3 411,897.18 0.13
299 - 300.................... 1 178,729.25 0.06
341 - 342.................... 1 272,295.88 0.08
345 - 346.................... 1 113,392.64 0.03
347 - 348.................... 1 205,023.67 0.06
349 - 350.................... 1 197,476.13 0.06
351 - 352.................... 3 541,865.45 0.17
353 - 354.................... 29 3,225,759.54 0.99
355 - 356.................... 151 19,159,643.31 5.91
357 - 358.................... 1,570 216,899,378.07 66.87
359 - 360.................... 526 76,126,601.71 23.47
----- --------------- -------
Total......................... 2,360 $324,377,030.41 100.00%
===== =============== ======
___________________
(1)The weighted average remaining term to maturity of the Group I Mortgage
Loans as of the Subsequent Cut-off Date was approximately 354 months.
28
PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
PROPERTY TYPE: LOANS DATE DATE
-------------- ----- ---- ----
Single Family ................. 2,131 $290,688,777.48 89.61%
Townhouse ..................... 91 13,105,507.74 4.04
Condominium ................... 86 11,711,873.37 3.61
Two-Four Family ............... 52 8,870,871.82 2.73
----- --------------- -------
Total.......................... 2,360 $324,377,030.41 100.00%
===== =============== ======
OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
OCCUPANCY STATUS: LOANS DATE DATE
----------------- ----- ---- ----
Primary....................... 2,292 $318,291,251.22 98.12%
Investor...................... 68 6,085,779.19 1.88
------ --------------- ------
Total......................... 2,360 $324,377,030.41 100.00%
===== =============== ======
___________________
(1) Occupancy as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP I MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
PURPOSE: LOANS DATE DATE
-------- ----- ---- ----
Cash Out Refinance........... 1,420 $197,440,483.83 60.87%
Purchase..................... 743 99,855,803.18 30.78
Rate/Term Refinance.......... 195 26,830,112.16 8.27
Land Contract................ 2 250,631.24 0.08
----- -------------- ------
Total........................ 2,360 $324,377,030.41 100.00%
===== =============== ======
29
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS(1)(2)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
ORIGINAL LOAN-TO-VALUE MORTGAGE THE CUT-OFF THE CUT-OFF
RATIO (%): LOANS DATE DATE
---------- ----- ---- ----
20.00- 20.00................. 1 $ 29,944.50 0.01%
25.01- 30.00................. 1 83,792.21 0.03
30.01- 35.00................. 4 247,955.59 0.08
35.01- 40.00................. 2 189,417.68 0.06
40.01- 45.00................. 10 1,110,240.38 0.34
45.01- 50.00................. 10 1,194,016.96 0.37
50.01- 55.00................. 13 1,277,569.66 0.39
55.01- 60.00................. 24 2,208,589.76 0.68
60.01- 65.00................. 33 3,267,332.05 1.01
65.01- 70.00................. 84 8,920,427.84 2.75
70.01- 75.00................. 107 13,949,150.75 4.30
75.01- 80.00................. 281 35,913,839.65 11.07
80.01- 85.00................. 302 38,461,349.33 11.86
85.01- 90.00................. 291 40,428,453.46 12.46
90.01- 95.00................. 189 28,727,434.44 8.86
95.01-100.00................. 1,008 148,367,516.15 45.74
- ----- ------- ----- -------------- -----
Total....................... 2,360 $324,377,030.41 100.00%
===== =============== ======
___________________
(1)The weighted average original loan-to-value ratio of the Group I Mortgage
Loans as of the Subsequent Cut-off Date was approximately 90.75%.
30
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATED TO
THE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
PROPERTY MORTGAGE THE CUT-OFF THE CUT-OFF
STATE: LOANS DATE DATE
------ ----- ---- ----
Alabama..................... 53 $6,065,070.78 1.87%
Arizona..................... 49 7,088,871.02 2.19
Arkansas.................... 12 1,192,047.92 0.37
California.................. 29 6,986,759.22 2.15
Colorado.................... 67 13,167,254.63 4.06
Connecticut................. 31 5,188,382.93 1.60
Delaware.................... 23 3,472,150.37 1.07
Florida..................... 188 24,819,725.44 7.65
Georgia..................... 107 14,318,400.67 4.41
Idaho....................... 1 1 07,000.00 0.03
Illinois.................... 58 8,011,894.93 2.47
Indiana..................... 64 6,089,318.55 1.88
Iowa........................ 8 1,051,806.63 0.32
Kansas...................... 18 2,103,198.99 0.65
Kentucky.................... 28 3,187,358.17 0.98
Louisiana................... 54 6,429,111.13 1.98
Maine....................... 18 1,541,311.88 0.48
Maryland.................... 106 19,888,307.01 6.13
Massachusetts............... 35 7 ,290,456.45 2.25
Michigan.................... 151 19,568,845.96 6.03
Minnesota................... 55 8,784,154.68 2.71
Mississippi................. 33 3,383,518.60 1.04
Missouri.................... 84 9,084,711.34 2.80
Nebraska.................... 12 1,019,391.51 0.31
Nevada...................... 18 3,556,846.50 1.10
New Hampshire............... 13 2,169,224.72 0.67
New Jersey.................. 21 3,972,825.79 1.22
New Mexico.................. 8 1,133,149.38 0.35
New York.................... 81 14,413,181.30 4.44
North Carolina.............. 89 11,529,806.61 3.55
Ohio........................ 138 16,324,806.57 5.03
Oklahoma.................... 32 3,513,024.73 1.08
Oregon...................... 9 1,374,505.39 0.42
Pennsylvania................ 185 22,434,096.41 6.92
Rhode Island................ 11 1,763,963.83 0.54
South Carolina.............. 51 6,000,535.84 1.85
Tennessee................... 79 9,472,821.57 2.92
Texas....................... 112 13,096,490.50 4.04
Utah........................ 24 3,429,927.03 1.06
Virginia.................... 157 23,076,286.19 7.11
Washington.................. 13 2,423,197.88 0.75
Wisconsin................... 33 4,531,768.10 1.40
Wyoming..................... 2 321,523.26 0.10
----- --------------- -------
Total...................... 2,360 $324,377,030.41 100.00%
===== =============== ======
___________________
(1)The greatest ZIP Code geographic concentration of Group I Mortgage Loans was
approximately 0.45% in the 22193 ZIP Code.
31
DOCUMENTATION LEVELS OF THE GROUP I MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
DOCUMENTATION MORTGAGE THE CUT-OFF THE CUT-OFF
LEVEL: LOANS DATE DATE
------ ----- ---- ----
Full Documentation............ 2,100 $283,425,395.16 87.38%
Stated Documentation.......... 205 32,209,569.09 9.93
Alternative Documentation..... 55 8,742,066.16 2.70
----- --------------- ------
Total......................... 2,360 $324,377,030.41 100.00%
===== =============== ======
CURRENT MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
CURRENT MORTGAGE MORTGAGE THE CUT-OFF THE CUT-OFF
RATE (%): LOANS DATE DATE
-------- ----- ---- ----
4.300- 5.000................. 26 $5,047,064.26 1.56
5.001- 6.000................. 432 72,407,362.46 22.32
6.001- 7.000................. 1,066 152,592,295.00 47.04
7.001- 8.000................. 706 83,226,130.14 25.66
8.001- 9.000................. 110 9,960,375.24 3.07
9.001-10.000................ 15 869,900.26 0.27
10.001-11.000................ 2 129,662.42 0.04
11.001-11.990................ 3 144,240.63 0.04
----- --------------- -------
Total......................... 2,360 $324,377,030.41 100.00%
===== =============== ======
___________________
(1)The weighted average current Mortgage Rate of the Group I Mortgage Loans as
of the Subsequent Cut-off Date was approximately 6.648% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
GROSS MARGIN MORTGAGE THE CUT-OFF THE CUT-OFF
(%): LOANS DATE DATE
----- ----- ---- ----
4.550-5.000................. 22 $ 3,998,245.90 1.55%
5.001-6.000................. 308 48,691,776.46 18.84
6.001-7.000................. 860 124,970,902.73 48.35
7.001-8.000................. 639 80,797,034.17 31.26
- ----- ------ ----- --------------- ------
Total...................... 1,829 $258,457,959.26 100.00%
===== =============== ======
___________________
(1)The weighted average Gross Margin of the Adjustable-Rate Group I Mortgage
Loans as of the Subsequent Cut-off Date was approximately 6.609% per annum.
32
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF AS OF
MORTGAGE THE CUT-OFF THE CUT-OFF
NEXT ADJUSTMENT DATE (ARM) LOANS DATE DATE
-------------------------- ----- ---- ----
12/01/04-12/31/04.............. 1 $ 113,392.64 0.04%
08/01/05-08/31/05.............. 1 197,476.13 0.08
09/01/05-09/30/05.............. 1 147,609.36 0.06
10/01/05-10/31/05.............. 1 202,610.54 0.08
11/01/05-11/30/05.............. 4 465,702.01 0.18
12/01/05-12/31/05.............. 18 2,006,500.62 0.78
01/01/06-01/31/06.............. 28 4,236,115.13 1.64
02/01/06-02/28/06.............. 74 9,468,803.64 3.66
03/01/06-03/31/06.............. 390 52,139,965.84 20.17
04/01/06-04/30/06.............. 647 91,579,592.67 35.43
05/01/06-05/31/06.............. 309 46,158,557.00 17.86
06/01/06-06/30/06.............. 39 6,261,473.63 2.42
07/01/06-07/31/06.............. 5 647,532.98 0.25
08/01/06-08/31/06.............. 9 1,384,116.10 0.54
09/01/06-09/30/06.............. 69 9,100,630.00 3.52
10/01/06-10/31/06.............. 46 7,142,535.00 2.76
11/01/06-11/30/06.............. 1 183,881.91 0.07
12/01/06-12/31/06.............. 1 120,157.96 0.05
01/01/07-01/31/07.............. 1 167,465.74 0.06
02/01/07-02/28/07.............. 7 1,014,879.47 0.39
03/01/07-03/31/07.............. 39 5,325,932.75 2.06
04/01/07-04/30/07.............. 71 10,246,320.18 3.96
05/01/07-05/31/07.............. 45 6,633,775.11 2.57
06/01/07-06/30/07.............. 7 900,562.85 0.35
09/01/07-09/30/07.............. 12 2,182,870.00 0.84
10/01/07-10/31/07.............. 3 429,500.00 0.17
----- --------------- ------
Total......................... 1,829 $258,457,959.26 100.00%
===== =============== ======
___________________
(1)The weighted average time until the next Adjustment Date for the
Adjustable-Rate Group I Mortgage Loans as of the Subsequent Cut-off Date was
approximately 23 months.
33
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
MAXIMUM MORTGAGE RATE (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
10.300-11.000................ 26 $5,047,064.26 1.95%
11.001-12.000................ 381 63,169,804.33 24.44
12.001-13.000................ 838 120,758,290.66 46.72
13.001-14.000................ 544 65,171,435.01 25.22
14.001-14.500................ 40 4,311,365.00 1.67
----- --------------- -------
Total....................... 1,829 $258,457,959.26 100.00%
===== =============== ======
___________________
(1)The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group I
Mortgage Loans as of the Subsequent Cut-off Date was approximately 12.573%
per annum.
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
MINIMUM MORTGAGE RATE (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
4.300-5.000................. 26 $5,047,064.26 1.95%
5.001-6.000................. 381 63,169,804.33 24.44
6.001-7.000................. 838 120,758,290.66 46.72
7.001-8.000................. 544 65,171,435.01 25.22
8.001-8.500................. 40 4,311,365.00 1.67
----- --------------- ------
Total...................... 1,829 $258,457,959.26 100.00%
===== =============== ======
___________________
(1)The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group I
Mortgage Loans as of the Subsequent Cut-off Date was approximately 6.573% per
annum.
PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
PERIODIC RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
3.000....................... 1,829 $258,457,959.26 100.00%
----- --------------- ------
Total......................... 1,829 $258,457,959.26 100.00%
===== =============== ======
___________________
(1) Relates solely to initial rate adjustments.
34
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
PERIODIC RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
1.000......................... 1,829 $258,457,959.26 100.00%
- ------ ----- --------------- ------
Total........................ 1,829 $258,457,959.26 100.00%
===== =============== ======
___________________
(1)Relates to all rate adjustments subsequent to initial rate adjustments.
GROUP II MORTGAGE LOAN STATISTICS
The following statistical information, unless otherwise specified, is
based upon percentages of the Principal Balances of the Group II Mortgage Loans
as of the Subsequent Cut-off Date.
Approximately 82.65% of the Group II Mortgage Loans had loan-to-value
ratios at origination in excess of 80.00%. No Group II Mortgage Loan had a
loan-to-value ratio at origination in excess of 100.00%. The weighted average
loan-to-value ratio of the Group II Mortgage Loans at origination was
approximately 91.70%. There can be no assurance that the loan-to-value ratio of
any Group II Mortgage Loan determined at any time after origination is less than
or equal to its original loan-to-value ratio. Additionally, the Originator's
determination of the value of a Mortgaged Property used in the calculation of
the original loan-to-value ratios of the Mortgage Loans may differ from the
appraised value of such Mortgaged Property or the actual value of such Mortgaged
Property at origination.
Except with respect to approximately 40.62% of the Group II Mortgage
Loans, all of the Group II Mortgage Loans have a Due Date on the first day of
the month.
The weighted average remaining term to maturity of the Group II Mortgage
Loans was approximately 351 months as of the Subsequent Cut-off Date. None of
the Group II Mortgage Loans had a first Due Date prior to December 19, 2002 or
after November 1, 2004, or has a remaining term to maturity of less than 117
months or greater than 360 months as of the Subsequent Cut-off Date. The latest
maturity date of any Group II Mortgage Loan is November 1, 2004.
The average Principal Balance of the Group II Mortgage Loans at
origination was approximately $136,343. The average Subsequent Cut-off Date
Principal Balance of the Group II Mortgage Loans was approximately $136,026. No
Group II Mortgage Loan had a Subsequent Cut-off Date Principal Balance of
greater than approximately $648,702 or less than approximately 29,831.
As of the Subsequent Cut-off Date, the Group II Mortgage Loans had
Mortgage Rates of not less than 4.300% per annum and not more than 11.400% per
annum and the weighted average Mortgage Rate of the Group II Mortgage Loans was
approximately 6.881% per annum. As of the Subsequent Cut-off Date, the
Adjustable-Rate Group II Mortgage Loans had Gross Margins ranging from 4.780%
per annum to 11.130% per annum, Minimum Mortgage Rates ranging from 4.300% per
annum to 11.300% per annum and Maximum Mortgage Rates ranging from 10.300% per
annum to 17.300% per annum. As of the Subsequent Cut-off Date, the weighted
average Gross Margin of the Adjustable-Rate Group II Mortgage Loans was
approximately 6.934% per annum, the weighted average Minimum Mortgage Rate of
the Adjustable-Rate Group II Mortgage Loans was approximately 6.857% per annum
and the weighted average Maximum Mortgage Rate of the Adjustable-Rate Group II
Mortgage Loans was approximately 12.857% per annum. The latest next Adjustment
Date following the Subsequent Cut-off Date on any Adjustable-Rate Group II
Mortgage Loan occurs in September 2007 and the weighted average time until
36
the next Adjustment Date for all of the Adjustable-Rate Group II Mortgage
Loans is approximately 23 months.
The Group II Mortgage Loans are expected to have the following
characteristics as of the Subsequent Cut-off Date (the sum in any column may not
equal the total indicated due to rounding):
36
SUBSEQUENT CUT-OFF DATE PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
PRINCIPAL BALANCE ($) LOANS CUT-OFF DATE CUT-OFF DATE
- --------------------------- ----------- -------------- -------------
29,831 - 50,000........... 135 $5,786,714.14 1.78%
50,001 -100,000........... 821 63,324,556.77 19.52
100,001 -150,000........... 674 83,213,314.24 25.65
150,001 -200,000........... 365 62,624,511.17 19.30
200,001 -250,000........... 185 41,327,797.61 12.74
250,001 -300,000........... 80 21,692,491.19 6.69
300,001 -350,000........... 58 19,247,161.19 5.93
350,001 -400,000........... 45 16,854,844.82 5.20
400,001 -450,000........... 11 4,725,495.55 1.46
450,001 -500,000........... 8 3,804,806.95 1.17
550,001 -600,000........... 2 1,171,919.83 0.36
600,001 -648,702........... 1 648,701.68 0.20
----- -------------- -------
Total..................... 2,385 324,422,315.14 100.00%
===== ============== ======
___________________
(1)The average Principal Balance of the Group II Mortgage Loans as of the
Subsequent Cut-off Date was approximately $136,026.
CREDIT SCORES FOR THE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
CREDIT SCORE LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
501 - 525................... 39 $3,361,776.39 1.04%
526 - 550................... 150 13,535,190.12 4.17
551 - 575................... 210 23,022,921.40 7.10
576 - 600................... 244 31,492,123.66 9.71
601 - 625................... 460 60,621,155.91 18.69
626 - 650................... 452 66,580,685.51 20.52
651 - 675................... 334 50,410,055.34 15.54
676 - 700................... 185 29,605,794.93 9.13
701 - 725................... 138 20,032,143.84 6.17
726 - 750................... 77 12,479,680.99 3.85
751 - 775................... 64 8,972,284.16 2.77
776 - 800................... 21 2,715,429.52 0.84
801 - 814................... 11 1,593,073.37 0.49
----- --------------- ------
Total........................ 2,385 $324,422,315.14 100.00%
===== =============== ======
___________________
(1)The weighted average credit score of the Group II Mortgage Loans that had
credit scores as of the Subsequent Cut-off Date was approximately 640.
37
ORIGINAL TERMS TO MATURITY OF THE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
ORIGINAL TERM (MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
120......................... 3 $ 165,447.29 0.05%
180......................... 58 4,851,308.17 1.50
240......................... 33 3,336,792.98 1.03
300......................... 4 629,092.99 0.19
360......................... 2,287 315,439,673.71 97.23
---- ----- -------------- -----
Total....................... 2,385 $324,422,315.14 100.00%
===== =============== ======
___________________
(1)The weighted average original term to maturity of the Group II Mortgage
Loans as of the Subsequent Cut-off Date was approximately 356 months.
REMAINING TERMS TO MATURITY OF THE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
REMAINING TERM (MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE
- ----------------------------- ------------ -------------- -------------
117 - 118 ................. 3 $ 165,447.29 0.05%
173 - 174 ................. 2 126,535.87 0.04
175 - 176 ................. 6 424,507.13 0.13
177 - 178 ................. 44 3,762,247.42 1.16
179 - 180 ................. 6 538,017.75 0.17
231 - 232 ................. 2 169,556.45 0.05
237 - 238 ................. 27 2,877,610.51 0.89
239 - 240 ................. 4 289,626.02 0.09
293 - 294 ................. 1 82,710.26 0.03
297 - 298 ................. 3 546,382.73 0.17
341 - 342 ................. 3 189,796.38 0.06
343 - 344 ................. 2 248,753.15 0.08
345 - 346 ................. 1 488,701.39 0.15
347 - 348 ................. 2 333,858.79 0.10
349 - 350 ................. 1 44,497.56 0.01
351 - 352 ................. 4 549,900.45 0.17
353 - 354 ................. 36 4,297,334.98 1.32
355 - 356 ................. 217 27,336,660.13 8.43
357 - 358 ................. 1,734 240,697,282.35 74.19
359 - 360 ................. 287 41,252,888.53 12.72
----- ------------- -----
Total....................... 2,385 324,422,315.14 100.00%
===== ============== ======
___________________
(1)The weighted average remaining term to maturity of the Group II Mortgage
Loans as of the Subsequent Cut-off Date was approximately 353 months.
38
PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE
- ------------------------------ ------------ -------------- -------------
Single Family ............... 2,169 $294,713,040.32 90.84%
Condominium ................. 97 13,652,078.50 4.21
Townhouse ................... 77 10,552,926.02 3.25
Two-Four Family ............. 42 5,504,270.30 1.70
----- --------------- ------
Total........................ 2,385 $324,422,315.14 100.00%
===== =============== ======
OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
OCCUPANCY STATUS LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
Primary ...................... 2,303 $316,799,677.88 97.65%
Investor ..................... 82 7,622,637.26 2.35
----- --------------- ------
Total......................... 2,385 $324,422,315.14 100.00%
===== =============== ======
___________________
(1) Occupancy as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP II MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
Cash Out Refinance ........... 1,306 $184,285,023.11 56.80%
Purchase ..................... 886 114,565,359.64 35.31
Rate/Term Refinance .......... 192 25,512,540.03 7.86
Land Contract ................ 1 59,392.36 0.02
----- --------------- ------
Total......................... 2,385 $324,422,315.14 100.00%
===== =============== ======
39
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS(1)(2)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
13.05-15.00................. 1 $ 29,938.62 0.01%
25.01-30.00................. 3 216,631.19 0.07
30.01-30.00................. 4 299,314.94 0.09
35.01-40.00................. 4 250,986.37 0.08
40.01-45.00................. 7 438,886.78 0.14
45.01-50.00................. 8 603,483.22 0.19
50.01-55.00................. 14 1,206,194.03 0.37
55.01-60.00................. 21 2,196,029.67 0.68
60.01-65.00................. 31 3,756,861.46 1.16
65.01-70.00................. 81 8,902,384.52 2.74
70.01-75.00................. 80 10,196,459.57 3.14
75.01-80.00................. 244 28,200,387.38 8.69
80.01-85.00................. 319 37,940,321.16 11.69
85.01-90.00................. 277 40,535,769.78 12.49
90.01-95.00................. 176 28,691,785.65 8.84
95.01-100.00................ 1,115 160,956,880.80 49.61
----- -------------- -----
Total...................... 2,385 $324,422,315.14 100.00%
===== =============== ======
___________________
(1)The weighted average original loan-to-value ratio of the Group II Mortgage
Loans as of the Subsequent Cut-off Date was approximately 91.70%.
40
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATED
TO THE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
LOCATION LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
Alabama........................ 72 $7,631,199.91 2.35%
Arizona........................ 40 6,574,513.28 2.03
Arkansas....................... 25 2,864,922.81 0.88
California..................... 25 6,756,699.89 2.08
Colorado....................... 55 10,674,012.53 3.29
Connecticut.................... 15 3,063,517.99 0.94
Delaware....................... 10 1,727,410.59 0.53
Florida........................ 164 21,945,745.17 6.76
Georgia........................ 95 13,972,334.32 4.31
Illinois....................... 66 9,452,954.29 2.91
Indiana........................ 72 7,054,200.36 2.17
Iowa........................... 15 1,406,319.36 0.43
Kansas......................... 15 1,877,644.87 0.58
Kentucky....................... 30 3,103,849.02 0.96
Louisiana...................... 53 5,700,916.24 1.76
Maine.......................... 19 2,210,072.97 0.68
Maryland....................... 110 21,827,708.45 6.73
Massachusetts.................. 36 8,157,510.36 2.51
Michigan....................... 149 20,071,390.02 6.19
Minnesota...................... 60 10,471,820.71 3.23
Mississippi.................... 39 3,455,988.75 1.07
Missouri....................... 58 6,335,283.83 1.95
Nebraska....................... 14 1,478,642.16 0.46
Nevada......................... 9 1,661,298.98 0.51
New Hampshire.................. 14 2,655,701.61 0.82
New Jersey..................... 10 1,730,651.60 0.53
New Mexico..................... 17 1,656,912.47 0.51
New York....................... 65 10,321,316.04 3.18
North Carolina................. 111 12,390,335.08 3.82
Ohio........................... 129 15,037,965.34 4.64
Oklahoma....................... 53 5,834,523.58 1.80
Oregon......................... 6 884,638.05 0.27
Pennsylvania................... 198 24,391,649.47 7.52
Rhode Island................... 4 916,299.54 0.28
South Carolina................. 45 4,783,781.31 1.47
Tennessee...................... 95 9,906,160.27 3.05
Texas.......................... 150 16,061,054.49 4.95
Utah........................... 22 3,720,643.23 1.15
Virginia....................... 156 25,242,177.03 7.78
Washington..................... 15 3,304,543.03 1.02
Wisconsin...................... 47 5,858,294.11 1.81
Wyoming........................ 2 249,712.03 0.08
------ ---------------- -------
Total......................... 2,385 $324,422,315.14 100.00%
===== =============== ======
___________________
(1)The greatest ZIP Code geographic concentration of Group II Mortgage Loans
was approximately 0.42 % in the 22152 ZIP Code.
41
DOCUMENTATION LEVELS OF THE GROUP II MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
DOCUMENTATION LEVEL LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
Full Documentation ........... 2,116 $278,335,912.75 85.79%
Stated Documentation ......... 215 37,345,601.50 11.51
Alternative Documentation .... 53 8,663,967.96 2.67
No Income Verification ....... 1 76,832.93 0.02
----- --------------- ------
Total......................... 2,385 $324,422,315.14 100.00%
===== =============== ======
CURRENT MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
CURRENT MORTGAGE RATE (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
4.300- 5.000................ 19 $3,595,685.38 1.11%
5.001- 6.000................ 360 66,445,436.45 20.48
6.001- 7.000................ 888 135,979,118.00 41.91
7.001- 8.000................ 632 76,089,981.55 23.45
8.001- 9.000................ 362 32,365,183.23 9.98
9.001-10.000................ 101 8,335,092.54 2.57
10.001-11.000................ 21 1,485,452.10 0.46
11.001-11.400................ 2 126,365.89 0.04
----- -------------- ------
Total....................... 2,385 $324,422,315.14 100.00%
===== =============== ======
___________________
(1)The weighted average current Mortgage Rate of the Group II Mortgage Loans as
of the Subsequent Cut-off Date was approximately 6.881% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
GROSS MARGIN (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
4.780-5.000................. 13 $2,284,685.19 0.92%
5.001-6.000................. 228 41,542,447.03 16.74
6.001-7.000................. 647 100,091,501.49 40.32
7.001-8.000................. 462 62,581,074.54 25.21
8.001-9.000................. 339 33,822,136.27 13.63
9.001-10.000................ 67 6,304,601.20 2.54
10.001-11.000................ 18 1,460,330.16 0.59
11.001-11.130................ 2 147,720.11 0.06
- ------ ------- ----- -------------- ------
Total....................... 1,776 $248,234,495.99 100.00%
===== =============== ======
___________________
(1)The weighted average Gross Margin of the Adjustable-Rate Group II Mortgage
Loans as of the Subsequent Cut-off Date was approximately 6.934% per annum.
42
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
NEXT ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
12/01/04 - 12/31/04.......... 1 $ 50,232.66 0.02%
01/01/05 - 01/31/05.......... 1 88,064.62 0.04
02/01/05 - 02/28/05.......... 1 160,688.53 0.06
05/01/05 - 05/31/05.......... 1 120,340.66 0.05
06/01/05 - 06/30/05.......... 1 213,518.13 0.09
10/01/05 - 10/31/05.......... 2 179,211.52 0.07
11/01/05 - 11/30/05.......... 9 1,135,948.94 0.46
12/01/05 - 12/31/05.......... 19 2,342,726.68 0.94
01/01/06 - 01/31/06.......... 42 4,988,990.45 2.01
02/01/06 - 02/28/06.......... 113 14,480,222.51 5.83
03/01/06 - 03/31/06.......... 380 48,958,143.38 19.72
04/01/06 - 04/30/06.......... 642 88,896,784.19 35.81
05/01/06 - 05/31/06.......... 253 36,850,448.44 14.85
06/01/06 - 06/30/06.......... 92 15,362,673.41 6.19
08/01/06 - 08/31/06.......... 4 583,800.35 0.24
09/01/06 - 09/30/06.......... 15 2,528,570.00 1.02
10/01/06 - 10/31/06.......... 1 104,000.00 0.04
11/01/06 - 11/30/06.......... 2 202,301.34 0.08
12/01/06 - 12/31/06.......... 2 224,664.98 0.09
01/01/07 - 01/31/07.......... 4 709,633.00 0.29
02/01/07 - 02/28/07.......... 6 1,030,960.74 0.42
03/01/07 - 03/31/07.......... 45 6,976,933.59 2.81
04/01/07 - 04/30/07.......... 82 12,777,782.61 5.15
05/01/07 - 05/31/07.......... 43 6,143,643.92 2.47
06/01/07 - 06/30/07.......... 13 2,706,711.34 1.09
09/01/07 - 09/30/07.......... 2 417,500.00 0.17
----- -------------- ------
Total......................... 1,776 $248,234,495.99 100.00%
===== =============== ======
___________________
(1)The weighted average time until the next Adjustment Date for the
Adjustable-Rate Group II Mortgage Loans as of the Subsequent Cut-off Date was
approximately 23 months.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
MAXIMUM MORTGAGE RATE (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
10.300 - 11.000 ............ 19 $3,595,685.38 1.45%
11.001 - 12.000 ............ 312 57,415,360.48 23.13
12.001 - 13.000 ............ 621 95,478,965.27 38.46
13.001 - 14.000 ............ 449 57,839,598.74 23.30
14.001 - 15.000 ............ 279 25,697,165.36 10.35
15.001 - 16.000 ............ 80 6,969,147.25 2.81
16.001 - 17.000 ............ 15 1,164,423.31 0.47
17.001 - 17.300 ............ 1 74,150.20 0.03
----- --------------- ------
Total......................... 1,776 $248,234,495.99 100.00%
===== =============== ======
___________________
(1)The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group II
Mortgage Loans as of the Subsequent Cut-off Date was approximately 12.857%
per annum.
43
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
MINIMUM MORTGAGE RATE (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
4.300 - 5.000 ......... 19 $3,595,685.38 1.45%
5.001 - 6.000 ......... 312 57,415,360.48 23.13
6.001 - 7.000 ......... 621 95,478,965.27 38.46
7.001 - 8.000 ......... 449 57,839,598.74 23.30
8.001 - 9.000 ......... 279 25,697,165.36 10.35
9.001 - 10.000 ......... 80 6,969,147.25 2.81
10.001 - 11.000 ......... 15 1,164,423.31 0.47
11.001 - 11.300 ......... 1 74,150.20 0.03
----- --------------- ------
Total....................... 1,776 $248,234,495.99 100.00%
===== =============== ======
___________________
(1)The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group II
Mortgage Loans as of the Subsequent Cut-off Date was approximately 6.857% per
annum.
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
INITIAL PERIODIC RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
3.000 ........................ 1,776 $248,234,495.99 100.00%
----- ----- --------------- ------
Total......................... 1,776 $248,234,495.99 100.00
===== =============== ======
___________________
(1) Relates solely to initial rate adjustments.
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
% OF
AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING OUTSTANDING
NUMBER OF AS OF THE AS OF THE
MORTGAGE SUBSEQUENT SUBSEQUENT
PERIODIC RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE
- -------------------------------- ------------ -------------- -------------
1.000 ........................ 1,776 $248,234,495.99 100.00%
----- ----- --------------- ------
Total......................... 1,776 $248,234,495.99 100.00
===== =============== ======
___________________
(1)Relates to all rate adjustments subsequent to initial rate adjustments.
44